You then need to change "-u Weblogin.Worker -p Worker password" to reflect your own account. Eg, "-u Steve.StevesWorker -p StevesWorkerPassword" then go to "File > Save as" and save the file as "RunMe.bat" in the same folder containing your miners application files. You are now ready to mine, double click on "RunMe.bat" to start mining. If you want, you can create additional workers with usernames and passwords of your choice here

Set shaders according to the readme (or look at your graphic cards specifications). CGMiner uses this value at first run to calculate thread-concurrency. Easiest way to get this optimized is to use same settings as others have used here: here.

There's also an interesting project which gives you a GUI for CGMiner. Windows only it seems.